Convergence of Certain Functionals of Integral Fractional Processes

José Manuel Corcuera (), David Nualart () and Jeannette H. C. Woerner ()
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José Manuel Corcuera: Universitat de Barcelona
David Nualart: University of Kansas
Jeannette H. C. Woerner: Universität Göttingen

Journal of Theoretical Probability, 2009, vol. 22, issue 4, 856-870

Abstract: Abstract In this paper we consider the asymptotic behavior of functionals of processes of the form ∫ 0 t u s dB s H , where B H is a fractional Brownian motion with Hurst parameter H, and u is a process with finite q-variation, q

Keywords: Fractional Brownian motion; Central and non-central limit theorems; Long-memory; Stable convergence; 60F05; 60G15; 60G18; 62M99 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s10959-008-0158-6

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